This study was designed to examine whether the exercise environment affected individuals' anxiety responses. Participants either sat quietly (control) or exercised in either a laboratory or a setting of their own choosing. State anxiety measures were assessed at baseline, during activity, and following 15 minutes of rest after activity. Analyses indicated that the exercising conditions significantly reduced anxiety, whereas the control condition did not. Additional analyses indicated that anxiety increased from baseline during exercise and then was reduced upon exercise cessation. The implications of these findings for the examination of acute exercise effects on psychological function are discussed.